def onTick(self, tick):
"""收到行情TICK推送"""
# 收到Tick后，首先插入到数据库里
self.insertTick(tick)
# 计算K线
tickMinute = tick.datetime.minute
if tickMinute != self.barMinute: # 如果分钟变了，则把旧的K线插入数据库，并生成新的K线
if self.bar:
self.onBar(self.bar)
bar = CtaBarData() # 创建新的K线，目的在于防止之前K线对象在插入Mongo中被再次修改，导致出错
bar.vtSymbol = tick.vtSymbol
bar.symbol = tick.symbol
bar.exchange = tick.exchange
bar.open = tick.lastPrice
bar.high = tick.lastPrice
bar.low = tick.lastPrice
bar.close = tick.lastPrice
bar.date = tick.date
bar.time = tick.time
bar.datetime = tick.datetime # K线的时间设为第一个Tick的时间
bar.volume = tick.volume
bar.openInterest = tick.openInterest
self.bar = bar # 这种写法为了减少一层访问，加快速度
self.barMinute = tickMinute # 更新当前的分钟
else: # 否则继续累加新的K线
bar = self.bar # 写法同样为了加快速度
bar.high = max(bar.high, tick.lastPrice)
bar.low = min(bar.low, tick.lastPrice)
bar.close = tick.lastPrice
bar.volume = bar.volume + tick.volume # 成交量是累加的
bar.openInterest = tick.openInterest # 持仓量直接更新
def downloadFuturesDailyBar(self, symbol):
"""
下载期货合约的日行情，symbol是合约代码，
若最后四位为0000（如IF0000），代表下载连续合约。
"""
print u'开始下载%s日行情' %symbol
# 查询数据库中已有数据的最后日期
cl = self.dbClient[DAILY_DB_NAME][symbol]
cx = cl.find(sort=[('datetime', pymongo.DESCENDING)])
if cx.count():
last = cx[0]
else:
last = ''
# 主力合约
if '0000' in symbol:
path = 'api/market/getMktMFutd.json'
params = {}
params['contractObject'] = symbol.replace('0000', '')
params['mainCon'] = 1
if last:
params['startDate'] = last['date']
# 交易合约
else:
path = 'api/market/getMktFutd.json'
params = {}
params['ticker'] = symbol
if last:
params['startDate'] = last['date']
# 开始下载数据
data = self.datayesClient.downloadData(path, params)
if data:
# 创建datetime索引
self.dbClient[DAILY_DB_NAME][symbol].ensure_index([('datetime', pymongo.ASCENDING)],
unique=True)
for d in data:
bar = CtaBarData()
bar.vtSymbol = symbol
bar.symbol = symbol
try:
bar.exchange = DATAYES_TO_VT_EXCHANGE.get(d.get('exchangeCD', ''), '')
bar.open = d.get('openPrice', 0)
bar.high = d.get('highestPrice', 0)
bar.low = d.get('lowestPrice', 0)
bar.close = d.get('closePrice', 0)
bar.date = d.get('tradeDate', '').replace('-', '')
bar.time = ''
bar.datetime = datetime.strptime(bar.date, '%Y%m%d')
bar.volume = d.get('turnoverVol', 0)
bar.openInterest = d.get('openInt', 0)
except KeyError:
print d
flt = {'datetime': bar.datetime}
self.dbClient[DAILY_DB_NAME][symbol].update_one(flt, {'$set':bar.__dict__}, upsert=True)
print u'%s下载完成' %symbol
else:
print u'找不到合约%s' %symbol
def onTick(self, tick):
"""收到行情TICK推送"""
# 收到Tick后，首先插入到数据库里
self.insertTick(tick)
# 计算K线
tickMinute = tick.datetime.minute
if tickMinute != self.barMinute: # 如果分钟变了，则把旧的K线插入数据库，并生成新的K线
if self.bar:
self.onBar(self.bar)
bar = CtaBarData() # 创建新的K线，目的在于防止之前K线对象在插入Mongo中被再次修改，导致出错
bar.vtSymbol = tick.vtSymbol
bar.symbol = tick.symbol
bar.exchange = tick.exchange
bar.open = tick.lastPrice
bar.high = tick.lastPrice
bar.low = tick.lastPrice
bar.close = tick.lastPrice
bar.date = tick.date
bar.time = tick.time
bar.datetime = tick.datetime # K线的时间设为第一个Tick的时间
bar.volume = tick.volume
bar.openInterest = tick.openInterest
self.bar = bar # 这种写法为了减少一层访问，加快速度
self.barMinute = tickMinute # 更新当前的分钟
else: # 否则继续累加新的K线
bar = self.bar # 写法同样为了加快速度
bar.high = max(bar.high, tick.lastPrice)
bar.low = min(bar.low, tick.lastPrice)
bar.close = tick.lastPrice
bar.volume = bar.volume + tick.volume # 成交量是累加的
bar.openInterest = tick.openInterest # 持仓量直接更新
def loadMcCsv(fileName, dbName, symbol):
"""将Multicharts导出的csv格式的历史数据插入到Mongo数据库中"""
import csv
start = time()
print u'开始读取CSV文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol)
# 锁定集合，并创建索引
client = pymongo.MongoClient()
collection = client[dbName][symbol]
collection.ensure_index([('datetime', pymongo.ASCENDING)], unique=True)
# 读取数据和插入到数据库
reader = csv.DictReader(file(fileName, 'r'))
for d in reader:
bar = CtaBarData()
bar.vtSymbol = symbol
bar.symbol = symbol
bar.open = float(d['Open'])
bar.high = float(d['High'])
bar.low = float(d['Low'])
bar.close = float(d['Close'])
bar.date = datetime.strptime(d['Date'], '%Y/%m/%d').strftime('%Y%m%d')
bar.time = d['Time']
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time, '%Y%m%d %H:%M:%S')
bar.volume = d['TotalVolume']
flt = {'datetime': bar.datetime}
collection.update_one(flt, {'$set':bar.__dict__}, upsert=True)
print bar.date, bar.time
print u'插入完毕，耗时：%s' % (time()-start)
def downloadFuturesIntradayBar(self, symbol):
"""下载期货的日内分钟行情"""
print u'开始下载%s日内分钟行情' %symbol
# 日内分钟行情只有具体合约
path = 'api/market/getFutureBarRTIntraDay.json'
params = {}
params['instrumentID'] = symbol
params['unit'] = 1
data = self.datayesClient.downloadData(path, params)
if data:
today = datetime.now().strftime('%Y%m%d')
# 创建datetime索引
self.dbClient[MINUTE_DB_NAME][symbol].ensure_index([('datetime', pymongo.ASCENDING)],
unique=True)
for d in data:
bar = CtaBarData()
bar.vtSymbol = symbol
bar.symbol = symbol
try:
bar.exchange = DATAYES_TO_VT_EXCHANGE.get(d.get('exchangeCD', ''), '')
bar.open = d.get('openPrice', 0)
bar.high = d.get('highestPrice', 0)
bar.low = d.get('lowestPrice', 0)
bar.close = d.get('closePrice', 0)
bar.date = today
bar.time = d.get('barTime', '')
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time, '%Y%m%d %H:%M')
bar.volume = d.get('totalVolume', 0)
bar.openInterest = 0
except KeyError:
print d
flt = {'datetime': bar.datetime}
self.dbClient[MINUTE_DB_NAME][symbol].update_one(flt, {'$set':bar.__dict__}, upsert=True)
print u'%s下载完成' %symbol
else:
print u'找不到合约%s' %symbol
def downloadFuturesDailyBar(self, symbol):
"""
下载期货合约的日行情，symbol是合约代码，
若最后四位为0000（如IF0000），代表下载连续合约。
"""
print u'开始下载%s日行情' % symbol
# 查询数据库中已有数据的最后日期
cl = self.dbClient[DAILY_DB_NAME][symbol]
cx = cl.find(sort=[('datetime', pymongo.DESCENDING)])
if cx.count():
last = cx[0]
else:
last = ''
# 主力合约
if '0000' in symbol:
path = 'api/market/getMktMFutd.json'
params = {}
params['contractObject'] = symbol.replace('0000', '')
params['mainCon'] = 1
if last:
params['startDate'] = last['date']
# 交易合约
else:
path = 'api/market/getMktFutd.json'
params = {}
params['ticker'] = symbol
if last:
params['startDate'] = last['date']
# 开始下载数据
data = self.datayesClient.downloadData(path, params)
if data:
# 创建datetime索引
self.dbClient[DAILY_DB_NAME][symbol].ensure_index(
[('datetime', pymongo.ASCENDING)], unique=True)
for d in data:
bar = CtaBarData()
bar.vtSymbol = symbol
bar.symbol = symbol
try:
bar.exchange = DATAYES_TO_VT_EXCHANGE.get(
d.get('exchangeCD', ''), '')
bar.open = d.get('openPrice', 0)
bar.high = d.get('highestPrice', 0)
bar.low = d.get('lowestPrice', 0)
bar.close = d.get('closePrice', 0)
bar.date = d.get('tradeDate', '').replace('-', '')
bar.time = ''
bar.datetime = datetime.strptime(bar.date, '%Y%m%d')
bar.volume = d.get('turnoverVol', 0)
bar.openInterest = d.get('openInt', 0)
except KeyError:
print d
flt = {'datetime': bar.datetime}
self.dbClient[DAILY_DB_NAME][symbol].update_one(
flt, {'$set': bar.__dict__}, upsert=True)
print u'%s下载完成' % symbol
else:
print u'找不到合约%s' % symbol
def loadMcCsv(fileName, dbName, symbol):
"""将Multicharts导出的csv格式的历史数据插入到Mongo数据库中"""
import csv
start = time()
print u'开始读取CSV文件%s中的数据插入到%s的%s中' % (fileName, dbName, symbol)
# 锁定集合，并创建索引
client = pymongo.MongoClient()
collection = client[dbName][symbol]
collection.ensure_index([('datetime', pymongo.ASCENDING)], unique=True)
# 读取数据和插入到数据库
reader = csv.DictReader(file(fileName, 'r'))
for d in reader:
bar = CtaBarData()
bar.vtSymbol = symbol
bar.symbol = symbol
bar.open = float(d['Open'])
bar.high = float(d['High'])
bar.low = float(d['Low'])
bar.close = float(d['Close'])
bar.date = datetime.strptime(d['Date'], '%Y/%m/%d').strftime('%Y%m%d')
bar.time = d['Time']
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time,
'%Y%m%d %H:%M:%S')
bar.volume = d['TotalVolume']
flt = {'datetime': bar.datetime}
collection.update_one(flt, {'$set': bar.__dict__}, upsert=True)
print bar.date, bar.time
print u'插入完毕，耗时：%s' % (time() - start)
def downloadFuturesIntradayBar(self, symbol):
"""下载期货的日内分钟行情"""
print u'开始下载%s日内分钟行情' % symbol
# 日内分钟行情只有具体合约
path = 'api/market/getFutureBarRTIntraDay.json'
params = {}
params['instrumentID'] = symbol
params['unit'] = 1
data = self.datayesClient.downloadData(path, params)
if data:
today = datetime.now().strftime('%Y%m%d')
# 创建datetime索引
self.dbClient[MINUTE_DB_NAME][symbol].ensure_index(
[('datetime', pymongo.ASCENDING)], unique=True)
for d in data:
bar = CtaBarData()
bar.vtSymbol = symbol
bar.symbol = symbol
try:
bar.exchange = DATAYES_TO_VT_EXCHANGE.get(
d.get('exchangeCD', ''), '')
bar.open = d.get('openPrice', 0)
bar.high = d.get('highestPrice', 0)
bar.low = d.get('lowestPrice', 0)
bar.close = d.get('closePrice', 0)
bar.date = today
bar.time = d.get('barTime', '')
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time,
'%Y%m%d %H:%M')
bar.volume = d.get('totalVolume', 0)
bar.openInterest = 0
except KeyError:
print d
flt = {'datetime': bar.datetime}
self.dbClient[MINUTE_DB_NAME][symbol].update_one(
flt, {'$set': bar.__dict__}, upsert=True)
print u'%s下载完成' % symbol
else:
print u'找不到合约%s' % symbol
